In his latest note, SocGen's famously bearish strategist Albert
Edwards says there is no mystery going on here.

First he notes that a divorce between stocks and economic
surprises is not unprecedented. It happened in... 2008.

SoCgen

But more specifically, Edwards says it's all about the fade in
corporate profits, and the declining change in analyst
expectations about corporate profits.

I think the key to understanding the recent breakdown of the
equity market lies with profits. We have been emphasising for
some time that profits are declining in the US, albeit at a much
slower pace than declines seen in the rest of the world (that by
the way is solely due to the lack of any fiscal tightening in the
US relative to the rest of the developed world.)

In the piece Alberts quotes his own colleague Andrew Lapthorne,
who makes an interesting observation about earnings season

“the outlook for earnings has been extremely poor in recent
weeks. Yes, the US reporting season led to an improvement in near
term (2012) earnings forecasts with the ratio of upgrades to
total estimate changes for 2012 earnings rising from 44% to 50%
over the past month, but earnings momentum for 2013 has slumped,
dropping from 48% to 42%, leading to a major divergence between
the two divergence with that of Europe). For earnings
momentum to collapse during a reporting season is highly unusual,
as optimistic forecasts are generally reeled in over the period
between reporting seasons”.

So the bottom line is that EPS optimism really crumbled during
earnings season, and actually, if you look on this chart, you can
see that it really started its decline early October, basically
right when the market peaked, which puts some meat on the bone of
this theory.

SocGen

With some austerity certainly coming (a fact that is expected to
hurt corporate profits), and earnings optimism fading, the
selloff has logic to it, even against the decent macro backdrop.